TY - JOUR T1 - Mind the Floor: <em>Enhance Portfolio Insurance without Borrowing</em> JF - The Journal of Investing DO - 10.3905/joi.2019.1.076 SP - joi.2019.1.076 AU - Jan Annaert AU - Marc De Ceuster AU - Jürgen Vandenbroucke Y1 - 2019/03/01 UR - https://pm-research.com/content/early/2019/03/01/joi.2019.1.076.abstract N2 - Legal borrowing restrictions are generally claimed to limit portfolio insurance performance. This article explores two alternative rebalancing rules that aim to pick up excess return subject to a borrowing constraint. One set of rules manages a volatility target for the risky assets, and a second set of rules manages the floor. Considering real-life trading conditions, the authors’ simulation results confirm that the borrowing constraint lowers average returns. The risk-adjusted performance increases, however, so there is essentially nothing wrong with the legal prohibition to borrow. Still, managing the floor enhances risk-adjusted performance even more. Tweaking the volatility of the risky assets does not. ER -